Opex, expiration unwind and the dates to mark

The expiration unwind

As expiration approaches, the deltas of the expiring options collapse toward 0 or 1, and the hedges that matched them are undone. That unwind is a flow in its own right, independent of any news, and it has two faces:

• Opex week: charm accelerates, the hedges of out-of-the-money puts get bought back, the quiet upward drift of the preceding weeks is often most visible right before expiration.
• The day after opex: the gamma that pinned price is gone. The market is free. Mondays after a large expiration are often wider, and that is when a background bias held back for weeks by the pin can finally express itself.